Specification tests for the error distribution in GARCH models

DOI10.1016/j.csda.2010.05.029zbMath1255.62259OpenAlexW2091929145WikidataQ60430065 ScholiaQ60430065MaRDI QIDQ1927139

Simos G. Meintanis, Franziska Lindner, Bernhard Klar

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.05.029

zbMATH Keywords

empirical characteristic functiongoodness-of-fit testbootstrap testsymmetry test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09)

Related Items (18)

Comparison of specification tests for GARCH models ⋮ Comparison of symmetry tests against some skew-symmetric alternatives in i.i.d. and non-i.i.d. setting ⋮ Estimating the extremal index through local dependence ⋮ A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models ⋮ Estimating the upcrossings index ⋮ Nonparametric probability weighted empirical characteristic function and applications ⋮ Empirical characteristic function tests for GARCH innovation distribution using multipliers ⋮ A Monte Carlo evaluation of the performance of two new tests for symmetry ⋮ Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations ⋮ CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS ⋮ A robust statistical approach to select adequate error distributions for financial returns ⋮ Maximum entropy test for GARCH models ⋮ Methods for estimating the upcrossings index: improvements and comparison ⋮ A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function ⋮ On the empirical characteristic function process of the residuals in GARCH models and applications ⋮ Comments on: ``An updated review of goodness-of-fit tests for regression models ⋮ A note on non-parametric testing for Gaussian innovations in AR-ARCH models ⋮ Tests for time series of counts based on the probability-generating function

Uses Software

• R
• VGAM
• RMetrics
• fGarch
• TSA

Cites Work

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